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Approximation of the distribution of a stationary Markov process with application to option pricing

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 نشر من قبل Fabien Panloup
 تاريخ النشر 2009
  مجال البحث مالية
والبحث باللغة English
 تأليف Gilles Pag`es




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We build a sequence of empirical measures on the space D(R_+,R^d) of R^d-valued c`adl`ag functions on R_+ in order to approximate the law of a stationary R^d-valued Markov and Feller process (X_t). We obtain some general results of convergence of this sequence. Then, we apply them to Brownian diffusions and solutions to Levy driven SDEs under some Lyapunov-type stability assumptions. As a numerical application of this work, we show that this procedure gives an efficient way of option pricing in stochastic volatility models.



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